Description Usage Arguments Details Value Author(s) References Examples
View source: R/mexMonteCarlo.R
Simulate Monte Carlo sample from a collection of fitted conditional dependence models.
1  mexMonteCarlo(nSample,mexList,mult=10)

nSample 
Required sample size. 
mexList 
List of fitted dependence models (returned by

mult 
Integer specifying what multiple of the total number of points should be generated for rejection sample 
Generates a Monte Carlo sample of the required size from a collection of conditional multivariate extreme values model of Heffernan and Tawn, 2004. For each marginal variable, the model that conditions on that margin is used to simulate values in the part of the sample space for which that margin is the largest of all marignal variables (measured on a quantile scale).
A list with the following components:
nR 
For each margin, number of original Monte Carlo points replaced by points generated under the corresponding conditional model. 
MCsample 
Matrix contiaining the Monte Carlo sample, dimension

whichMax 
Vector of indices indicating which variable is largest (on the quantile scale) 
whichMaxAboveThresh 
Logical vector indicating which of the variables
identified by 
Harry Southworth, Janet E. Heffernan
J. E. Heffernan and J. A. Tawn, A conditional approach for multivariate extreme values, Journal of the Royal Statistical society B, 66, 497 – 546, 2004
1 2 3 4  # mAll < mexAll(winter,mqu=0.7,dqu=c(0.7,0.7,0.7,0.7,0.7))
# mexMC < mexMonteCarlo(5000,mAll)
# pairs(mexMC$MCsample)

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